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simulation_examples.py
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simulation_examples.py
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#!/usr/bin/env python
#
# This script builds on the based CEX/DEX arb trading examples and
# computes statistics of the DEX performance based on a large number of simulations.
#
import matplotlib.pyplot as pl
import numpy as np
from ing_theme_matplotlib import mpl_style
from dex import DEX, ETH_PRICE
# Constants for plotting
pl.rcParams["savefig.dpi"] = 200
# the volatility of ETH price per one year - approximately matches the recent year's data
ETH_VOLATILITY = 0.5
ETH_VOLATILITY_PER_SECOND = ETH_VOLATILITY / np.sqrt(365 * 24 * 60 * 60)
BLOCK_TIMES_SEC = [1, 2, 3, 4, 6, 12]
SIMULATION_DURATION_SEC = 3600
NUM_SIMULATIONS = 1000
############################################################
def get_price_paths(n, sigma, mu, M=NUM_SIMULATIONS):
St = np.exp((mu - sigma ** 2 / 2) + sigma * np.random.normal(0, 1, size=(M, n-1)).T)
# we want the initial prices to be randomly distributed in the pool's non-arbitrage space
price_low, price_high = DEX().get_non_arbitrage_region()
initial_prices = np.random.uniform(price_low / ETH_PRICE, price_high / ETH_PRICE, M)
St = np.vstack([initial_prices, St])
St = ETH_PRICE * St.cumprod(axis=0)
return St
############################################################
def estimate_performance(prices, swap_fee_bps, basefee_usd):
dex = DEX()
dex.set_fee_bps(swap_fee_bps)
if basefee_usd is not None:
dex.set_basefee_usd(basefee_usd)
for price in prices:
dex.maybe_arbitrage(price)
return dex.lvr, dex.lp_fees, dex.sbp_profits, dex.basefees, dex.num_tx
############################################################
def estimate_mean_performance(all_prices, swap_fee_bps, basefee_usd=None, num_blocks=None):
all_lvr = []
all_lp_fees = []
all_sbp_profits = []
all_basefees = []
all_tx = []
if len(all_prices.shape) > 2:
# take the last elements from the second dimension
all_prices = all_prices[:,-1,:]
for sim in range(all_prices.shape[1]):
prices = all_prices[:,sim]
if num_blocks is not None:
prices = prices[:num_blocks]
lvr, lp_fees, spb_revenue, basefees, num_tx = \
estimate_performance(prices, swap_fee_bps, basefee_usd)
all_lvr.append(lvr)
all_lp_fees.append(lp_fees)
all_sbp_profits.append(spb_revenue)
all_basefees.append(basefees)
all_tx.append(num_tx)
return np.mean(all_lvr), np.mean(all_lp_fees), np.mean(all_sbp_profits), \
np.mean(all_basefees), np.mean(all_tx)
############################################################
# simulate the performance of some 12-second long intervals, depending on the block time
def simulate_some_blocks(basefee_usd):
n = SIMULATION_DURATION_SEC
all_prices = get_price_paths(n, sigma=ETH_VOLATILITY_PER_SECOND, mu=0.0)
all_lvr = []
all_lp_fees = []
all_lp_losses = []
all_basefees = []
all_sbp_profits = []
all_num_tx = []
for block_time in BLOCK_TIMES_SEC:
if block_time > 1:
all_prices = all_prices.reshape(n // block_time, block_time, NUM_SIMULATIONS)
print("compute performance for block time", block_time)
lvr, lp_fees, sbp_profits, basefees, num_tx = \
estimate_mean_performance(all_prices, swap_fee_bps=5, basefee_usd=basefee_usd)
all_lvr.append(lvr)
all_lp_fees.append(lp_fees)
all_lp_losses.append(lvr - lp_fees)
all_sbp_profits.append(sbp_profits)
all_basefees.append(basefees)
all_num_tx.append(num_tx)
fig, ax = pl.subplots()
fig.set_size_inches((7, 4.5))
pl.plot(BLOCK_TIMES_SEC, all_lvr, label="LVR", marker="D", color="black")
pl.plot(BLOCK_TIMES_SEC, all_lp_fees, label="LP fees", marker="o", color="green")
pl.plot(BLOCK_TIMES_SEC, all_sbp_profits, label="SBP profits", marker="s", color="blue")
pl.plot(BLOCK_TIMES_SEC, all_lp_losses, label="LP losses", marker="x", color="red")
pl.plot(BLOCK_TIMES_SEC, all_basefees, label="Basefees (burnt ETH)", marker="^", color="orange")
pl.title(f"Results with ${basefee_usd} basefee")
pl.xlabel("Block time, sec")
pl.ylabel("Profits / losses, $")
pl.legend()
pl.ylim(ymin=0)
pl.savefig(f"cex_dex_arbitrage_metrics_{basefee_usd}_basefee.png", bbox_inches='tight')
#pl.show()
pl.close()
return all_lp_losses
############################################################x
def main():
mpl_style(False)
np.random.seed(123456)
lp_losses = {}
for basefee in [0, 10, 30]:
lp_losses[basefee] = simulate_some_blocks(basefee)
fig, ax = pl.subplots()
fig.set_size_inches((5, 3.5))
markers = {0: "x", 10: "+", 30: "D"}
for basefee in [0, 10, 30]:
pl.plot(BLOCK_TIMES_SEC, lp_losses[basefee], label=f"Basefee=${basefee}",
marker=markers[basefee], color="red")
n = 1000
max_block = BLOCK_TIMES_SEC[-1]
half_block_index = -2
x = np.linspace(0, max_block, n)
sqrt_x = [np.sqrt(u) for u in x]
# could do a more accurate fit for the models if wanted,
# but at the end it doesn't matter that much
k = lp_losses[0][half_block_index] / sqrt_x[n // 2]
sqrt_model = [k * u for u in sqrt_x]
const = lp_losses[30][-2] - lp_losses[0][-2]
#k = (lp_losses[30][half_block_index] + const) / sqrt_x[n // 2]
sqrt_plus_const_model = [k * u + const for u in sqrt_x]
pl.plot(x, sqrt_model, label="Model: $\sqrt{BT}$", color="black")
pl.plot(x, sqrt_plus_const_model, label="Model: $\sqrt{BT} + const$", color="brown")
pl.xlabel("Block time, sec")
pl.ylabel("LP losses, $")
pl.legend()
pl.ylim(ymin=0)
pl.savefig(f"cex_dex_arbitrage_lp_losses_basefee.png", bbox_inches='tight')
pl.close()
if __name__ == '__main__':
main()
print("all done!")